Eigenvalues, Eigenvectors, and the Geometry of Covariance foundational
How symmetric matrices reveal natural directions of variation, and why that matters for PCA and statistical risk factors.
How symmetric matrices reveal natural directions of variation, and why that matters for PCA and statistical risk factors.
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References
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
Hierarchical PCA and Applications to Portfolio Management
Marco Avellaneda
(2019)